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On arbitrage and duality under model uncertainty and portfolio constraints

Bayraktar, Erhan; Zhou, Zhou - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 988-1012

Persistent link: https://www.econbiz.de/10011765002

Asset pricing and hedging in financial markets with fixed and proportional transaction costs

Babaei, Esmaeil - In: Annals of finance 20 (2024) 2, pp. 259-275

Persistent link: https://www.econbiz.de/10014566422

Illiquidity and derivative valuation

Horst, Ulrich; Naujokat, Felix - 2010

In illiquid markets, option traders may have an incentive to increase their portfolio value by using their impact on the dynamics of the underlying. We provide a mathematical framework within which to value derivatives under market impact in a multi-player framework by introducing strategic...

Persistent link: https://www.econbiz.de/10010270818

Stock Illiquidity, option prices, and option returns

Kanne, Stefan; Korn, Olaf; Uhrig-Homburg, Marliese - 2016 - Current version: July 2016

We provide evidence of a strong effect of the underlying stock's illiquidity on option prices by showing that the … average absolute difference between historical and implied volatility increases with stock illiquidity. This pattern … chosen illiquidity measure, the measure of option expensiveness, and the return period. …

Persistent link: https://www.econbiz.de/10011539242